Conan is the only one I keep up to date with, but I'd say each of the late night hosts have something they are really good at, and it's great fun to watch them all, and luckily most are available online.
Just in case anyone's looking to watch other hosts, here are my personal preferences:
My favorites are of course the playlists of Conan I linked to, but he has a lot of older stuff too.
Craig Ferguson's interviews are great, especially when they're with women. I think there's a youtube user with the name (or a playlist name) Craig Ferguson And The Ladies who posts what the name suggests. They're akin to in-studio versions of Conan's remotes. While Conan does unscripted stuff outside the studio, Craig Ferguson aces it inside the studio.
As for the rest, Jimmy Fallon gets a bad rap around here, but some of his games with celebrities are quite fun. He's a talented dude, if not particularly the best late night host.
Jimmy Kimmel doesn't stand out much these days, but the celebrities read mean tweets about themselves segments are amusing, but Lie Witness News loses its charm when you realize how fake it is. If you want to watch a full episode, check out the one in which Matt Damon kidnaps Kimmel and hosts the show instead with Kimmel tied up in the background the whole time. The Matt Damon/Jimmy Kimmel long time fake feud is an underrated by great part of late night talk show history, and reading up on it and watching relevant videos ("I'm Fucking Matt Damon") would give better context to some of the in-jokes.
I might be too young to get Letterman so you'll have to ask someone else about his good stuff.
Great political humor from Jon Stewart, Colbert and John Oliver, but check out John Oliver's show's youtube because they air clips from it in a more convenient way than Stewart and Colbert's Comedy Central website. The topics aren't necessarily just about America so if you guys are international there might be stuff about other parts of the world that can be informative. John Oliver's Last Week Tonight only airs once a week so it's easy to not miss a single episode as well.
Seth Meyers, Pete Holmes, great guys, not particularly great shows, but I wish them the best of luck.
As a Conan fan, I am morally obligated to not mention Leno.
These are all of course, my personal opinions and others may have wildly differing opinions, and I do not mean to offend anyone's personal favorites.